Content
2010
- 1004.4272 When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
by Ester Pantaleo & Michele Tumminello & Fabrizio Lillo & Rosario N. Mantegna - 1004.4169 Optimal Liquidation Strategies Regularize Portfolio Selection
by Fabio Caccioli & Susanne Still & Matteo Marsili & Imre Kondor - 1004.4153 Improved Frechet bounds and model-free pricing of multi-asset options
by Peter Tankov - 1004.3939 Price Trackers Inspired by Immune Memory
by William Wilson & Phil Birkin & Uwe Aickelin - 1004.3830 Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
by Gareth W. Peters & Balakrishnan Kannan & Ben Lasscock & Chris Mellen - 1004.3758 A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
by Yadong Li - 1004.3577 Fractional smoothness and applications in finance
by Stefan Geiss & Emmanuel Gobet - 1004.3525 $F$-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point
by S. Cawston & L. Vostrikova - 1004.3310 Dividend problem with Parisian delay for a spectrally negative L\'evy risk process
by Irmina Czarna & Zbigniew Palmowski - 1004.3299 Valuation equations for stochastic volatility models
by Erhan Bayraktar & Constantinos Kardaras & Hao Xing - 1004.3229 Fifteen years of econophysics: worries, hopes and prospects
by Bertrand M. Roehner - 1004.3106 Fractional processes as models in stochastic finance
by Christian Bender & Tommi Sottinen & Esko Valkeila - 1004.3093 Transversality Conditions for Higher Order Infinite Horizon Discrete Time Optimization Problems
by Dapeng Cai & Takashi Gyoshin Nitta - 1004.3067 Fundamental defect of the macroeconomic thinking as one of the main causes of the crisis endured
by Eugen Perchik - 1004.2947 Optimal closing of a pair trade with a model containing jumps
by Stig Larsson & Carl Lindberg & Marcus Warfheimer - 1004.2865 A Top-down Model for Cash CLO
by Yadong Li & Ziyu Zheng - 1004.2548 Chain ladder method: Bayesian bootstrap versus classical bootstrap
by Gareth W. Peters & Mario V. Wuthrich & Pavel V. Shevchenko - 1004.2248 Results on numerics for FBSDE with drivers of quadratic growth
by Peter Imkeller & Gonc{c}alo dos Reis & Jianing Zhang - 1004.2206 A maximum principle for forward-backward stochastic Volterra integral equations and applications in finance
by Tianxiao Wang & Yufeng Shi - 1004.2107 Discretization error of Stochastic Integrals
by Masaaki Fukasawa - 1004.2106 Asymptotic analysis for stochastic volatility: Edgeworth expansion
by Masaaki Fukasawa - 1004.1855 Fast Correlation Greeks by Adjoint Algorithmic Differentiation
by Luca Capriotti & Mike Giles - 1004.1804 Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics
by Fredrick Michael - 1004.1759 Valuation Bound of Tranche Options
by Yadong Li & Ariye Shater - 1004.1758 Consistent Valuation of Bespoke CDO Tranches
by Yadong Li - 1004.1726 Dynamic Bertrand Oligopoly
by Andrew Ledvina & Ronnie Sircar - 1004.1670 Any Regulation of Risk Increases Risk
by Philip Z. Maymin & Zakhar G. Maymin - 1004.1576 Limit Theorems for Partial Hedging Under Transaction Costs
by Yan Dolinsky - 1004.1575 Error Estimates for Multinomial Approximations of American Options in Merton's Model
by Yan Dolinsky - 1004.1574 Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
by Yan Dolinsky - 1004.1522 Dynamics on/in financial markets: dynamical decoupling and stylized facts
by Stefan Reimann & Andreas Tupak - 1004.1489 Illiquidity Effects in Optimal Consumption-Investment Problems
by Michael Ludkovski & Hyekyung Min - 1004.1210 Universal Fluctuations of AEX index
by Rui Gonc{c}alves & Helena Ferreira & Alberto Pinto - 1004.1138 Universal Fluctuations of the FTSE100
by Rui Gonc{c}alves & Helena Ferreira & Alberto Pinto - 1004.1136 Universality in DAX index returns fluctuations
by Rui Gonc{c}alves & Helena Ferreira & Alberto Pinto - 1004.1053 Managing Derivative Exposure
by Ulrich Kirchner - 1004.0844 Quantum Portfolios of Observables and the Risk Neutral Valuation Model
by Fredrick Michael - 1004.0685 Simple Fuzzy Score for Russian Public Companies Risk of Default
by Sergey Ivliev - 1004.0682 L'effet de levier de tr\'esorerie
by Jean-Claude Juhel - 1004.0595 Precautionary Measures for Credit Risk Management in Jump Models
by Masahiko Egami & Kazutoshi Yamazaki - 1004.0561 Sequences of Arbitrages
by Victor Kozyakin & Brian O'Callaghan & Alexei Pokrovskii - 1004.0417 The Anderson-Darling test of fit for the power law distribution from left censored samples
by H. F. Coronel-Brizio & A. R. Hernandez-Montoya - 1004.0213 S&P 500 returns revisited
by Ivan O. Kitov & Oleg I. Kitov - 1004.0125 Variance dispersion and correlation swaps
by Antoine Jacquier & Saad Slaoui - 1003.6042 Continuous time Ehrenfest process in term structure modelling
by Alexander Kaplun - 1003.6002 Portfolio optimization in a default model under full/partial information
by Thomas Lim & Marie-Claire Quenez - 1003.5984 Nonuniversal distributions of stock returns in an emerging market
by Guo-Hua Mu & Wei-Xing Zhou - 1003.5926 Diagnosis and Prediction of Market Rebounds in Financial Markets
by Wanfeng Yan & Ryan Woodard & Didier Sornette - 1003.5712 Overview of utility-based valuation
by David German - 1003.5650 Diversity and Arbitrage in a Regulatory Breakup Model
by Winslow Strong & Jean-Pierre Fouque - 1003.5514 Asymptotic and Exact Pricing of Options on Variance
by Martin Keller-Ressel & Johannes Muhle-Karbe - 1003.5356 Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges
by V. Gontis & A. Kononovicius - 1003.4917 Explicit solutions for the exit problem for a class of L\'evy processes. Applications to the pricing of double barrier options
by Sonia Fourati - 1003.4881 The Validity of Company Valuation Using Discounted Cash Flow Methods
by Florian Steiger - 1003.4797 Hedging under arbitrage
by Johannes Ruf - 1003.4382 The Problem of Modeling of Economic Dynamics (new version)
by S. I. Chernyshov & A. V. Voronin & S. A. Razumovsky - 1003.4299 Ruin probability with Parisian delay for a spectrally negative L\'evy risk process
by Irmina Czarna & Zbigniew Palmowski - 1003.4216 Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
by Erhan Bayraktar & Xueying Hu & Virginia R. Young - 1003.4118 Indifference of Defaultable Bonds with Stochastic Intensity models
by Regis Houssou & Olivier Besson - 1003.3796 "Market making" behaviour in an order book model and its impact on the bid-ask spread
by Ioane Muni Toke - 1003.3582 Risk Aversion Asymptotics for Power Utility Maximization
by Marcel Nutz - 1003.3316 Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
by L. Spadafora & G. P. Berman & F. Borgonovi - 1003.3114 Self-organized model of cascade spreading
by Stanislao Gualdi & Matus Medo & Yi-Cheng Zhang - 1003.2981 Statistical identification with hidden Markov models of large order splitting strategies in an equity market
by Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna - 1003.2930 Utility Maximization of an Indivisible Market with Transaction Costs
by Qingshuo Song & G. Yin & Chao Zhu - 1003.2920 Computational LPPL Fit to Financial Bubbles
by Vincenzo Liberatore - 1003.2692 Modeling share prices of banks and bankrupts
by Ivan O. Kitov - 1003.2688 WARNING: Physics Envy May Be Hazardous To Your Wealth!
by Andrew W. Lo & Mark T. Mueller - 1003.2539 Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
by Sayantan Ghosh & P. Manimaran & Prasanta K. Panigrahi - 1003.2521 Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
by Mark Davis & Sebastien Lleo - 1003.2459 Complex stock trading network among investors
by Zhi-Qiang Jiang & Wei-Xing Zhou - 1003.2321 Micro-Macro Relation of Production - The Double Scaling Law for Statistical Physics of Economy -
by Hideaki Aoyama & Yoshi Fujiwara & Mauro Gallegati - 1003.1848 Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method
by Guoping Xu & Harry Zheng - 1003.1802 A simple model of mortality trends aiming at universality: Lee Carter + Cohort
by Edouard Debonneuil - 1003.1344 Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae
by Daniel T. Cassidy & Michael J. Hamp & Rachid Ouyed - 1003.0889 Credit Default Swaps Liquidity modeling: A survey
by Damiano Brigo & Mirela Predescu & Agostino Capponi - 1003.0793 Boolean delay equations on networks: An application to economic damage propagation
by B. Coluzzi & M. Ghil & S. Hallegatte & G. Weisbuch - 1003.0764 Outsider Trading
by Dorje C. Brody & Julian Brody & Bernhard K. Meister & Matthew F. Parry - 1003.0709 Tracking errors from discrete hedging in exponential L\'evy models
by Mats Brod'en & Peter Tankov - 1003.0168 Order flow dynamics around extreme price changes on an emerging stock market
by Guo-Hua Mu & Wei-Xing Zhou & Wei Chen & Janos Kertesz - 1003.0135 A proof of a conjecture in the Cram\'er-Lundberg model with investments
by Shimao Fan & Sheng Xiong & Wei-Shih Yang - 1003.0041 Perturbed Copula: Introducing the skew effect in the co-dependence
by Alberto Elices & Jean-Pierre Fouque - 1002.5041 Arbitrage Opportunities in Misspecified Stochastic volatility Models
by Rudra P. Jena & Peter Tankov - 1002.5031 Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems
by Christian Fries & Joerg Kampen - 1002.4817 Accounting for risk of non linear portfolios: a novel Fourier approach
by Giacomo Bormetti & Valentina Cazzola & Danilo Delpini & Giacomo Livan - 1002.4744 Market behavior and performance of different strategy evaluation schemes
by Yongjoo Baek & Sang Hoon Lee & Hawoong Jeong - 1002.4641 Sensitivity of the Performance of a Simple Exchange Model to its Topology
by Vitus J. Leung & Randall A. LaViolette - 1002.4592 Is It Real, or Is It Randomized?: A Financial Turing Test
by Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola - 1002.3794 Dynamic risk measures
by Beatrice Acciaio & Irina Penner - 1002.3747 Large-volatility dynamics in financial markets
by X. F. Jiang & B. Zheng & J. Shen - 1002.3689 Explicit equilibria in a kinetic model of gambling
by Federico Bassetti & Giuseppe Toscani - 1002.3681 Optimal investment with bounded VaR for power utility functions
by B'enamar Chouaf & Serguei Pergamenchtchikov - 1002.3633 Convergence of Heston to SVI
by Jim Gatheral & Antoine Jacquier - 1002.3627 Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
by Beatrice Acciaio & Hans Foellmer & Irina Penner - 1002.3560 Spin Glass Model of Operational Risk
by M. Bardoscia & P. Facchi & S. Pascazio & A. Trullo - 1002.3432 Adaptive financial networks with static and dynamic thresholds
by Tian Qiu & Bo Zheng & Guang Chen - 1002.3256 Information Asymmetry in Pricing of Credit Derivatives
by Caroline Hillairet & Ying Jiao - 1002.2909 Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
by Yuri A. Katz & Nikolai V. Shokhirev - 1002.2741 Free Lunch
by Constantinos Kardaras - 1002.2740 Arbitrage strategy
by Constantinos Kardaras - 1002.2604 The two defaults scenario for stressing credit portfolio loss distributions
by Dirk Tasche - 1002.2573 A model-insensitive determination of First-hitting-time densities with Application to Equity default-swaps
by Alex Langnau - 1002.2491 Scale invariant properties of public debt growth
by Alexander M. Petersen & Boris Podobnik & Davor Horvatic & H. Eugene Stanley - 1002.2487 Optimal consumption and investment with bounded downside risk for power utility functions
by Claudia Kluppelberg & Serguei Pergamenchtchikov - 1002.2486 Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
by Claudia Kluppelberg & Serguei Pergamenchtchikov - 1002.2284 Markets are efficient if and only if P = NP
by Philip Maymin - 1002.2282 The Hazards of Propping Up: Bubbles and Chaos
by Philip Maymin - 1002.2281 Regulation Simulation
by Philip Maymin - 1002.2269 What is Fair Pay for Executives? An Information Theoretic Analysis of Wage Distributions
by Venkat Venkatasubramanian - 1002.2265 Sequential optimizing investing strategy with neural networks
by Ryo Adachi & Akimichi Takemura - 1002.2171 Reverse Engineering Financial Markets with Majority and Minority Games using Genetic Algorithms
by J. Wiesinger & D. Sornette & J. Satinover - 1002.2086 Contr\^ole impulsionnel appliqu\'e \`a la gestion de changement de technologie dans une entreprise
by Rim Amami - 1002.1995 Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
by Andrey Itkin & Peter Carr - 1002.1889 Forward-convex convergence in probability of sequences of nonnegative random variables
by Constantinos Kardaras & Gordan Zitkovic - 1002.1653 Recurrence interval analysis of trading volumes
by Fei Ren & Wei-Xing Zhou - 1002.1070 The Lehman Brothers Effect and Bankruptcy Cascades
by Pawe{l} Sieczka & Didier Sornette & Janusz A. Ho{l}yst - 1002.1010 Testing for financial crashes using the Log Periodic Power Law mode
by David S. Bree & Nathan Lael Joseph - 1002.0979 Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
by Martin Lauko & Daniel Sevcovic - 1002.0934 A Random Matrix Approach to VARMA Processes
by Zdzis{l}aw Burda & Andrzej Jarosz & Maciej A. Nowak & Ma{l}gorzata Snarska - 1002.0917 Statistical properties of agent-based models in markets with continuous double auction mechanism
by Jie-Jun Tseng & Chih-Hao Lin & Chih-Ting Lin & Sun-Chong Wang & Sai-Ping Li - 1002.0864 Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
by Ljudmila A. Bordag - 1002.0609 A new space-time model for volatility clustering in the financial market
by Maria Boguta & Eric Jarpe - 1002.0571 Exit times in non-Markovian drifting continuous-time random walk processes
by Miquel Montero & Javier Villarroel - 1002.0567 A New Approximation to the Normal Distribution Quantile Function
by Paul M. Voutier - 1002.0377 Universal Laws and Economic Phenomena
by Austin Gerig - 1002.0321 Cross-Correlation Dynamics in Financial Time Series
by Thomas Conlon & Heather J. Ruskin & Martin Crane - 1002.0284 Asset returns and volatility clustering in financial time series
by Jie-Jun Tseng & Sai-Ping Li - 1002.0277 Inflation and unemployment in Japan: from 1980 to 2050
by Ivan O. Kitov - 1001.5421 A note on evolutionary stochastic portfolio optimization and probabilistic constraints
by Ronald Hochreiter - 1001.5202 The impact of uncertainties on the pricing of contingent claims
by Simone Scotti - 1001.5124 Impact of the tick-size on financial returns and correlations
by Michael C. Munnix & Rudi Schafer & Thomas Guhr - 1001.5058 Hidden Regular Variation: Detection and Estimation
by Abhimanyu Mitra & Sidney I. Resnick - 1001.4889 Modelling and predicting labor force productivity
by Ivan O. Kitov - 1001.4762 A Spectral Analysis of Business Cycle Patterns in UK Sectoral Output
by Peijie Wang & Trefor Jones - 1001.4401 The level crossing and inverse statistic analysis of German stock market index (DAX) and daily oil price time series
by F. Shayeganfar & M. Holling & J. Peinke & M. Reza Rahimi Tabar - 1001.4270 Optimal Reversible Annuities to Minimize the Probability of Lifetime Ruin
by Ting Wang & Virginia R. Young - 1001.4151 New Financial Research Program: General Option-Price Wave Modeling
by Vladimir G. Ivancevic - 1001.4098 Extra-Dimensional Approach to Option Pricing and Stochastic Volatility
by Minh Q. Truong - 1001.4031 Is the minimum value of an option on variance generated by local volatility?
by Mathias Beiglboeck & Peter Friz & Stephan Sturm - 1001.3972 Martingale representation for Poisson processes with applications to minimal variance hedging
by Guenter Last & Mathew D. Penrose - 1001.3731 Experimental evidence for the interplay between individual wealth and transaction network
by Jie-Jun Tseng & Sai-Ping Li & Sun-Chong Wang - 1001.3728 Jump-diffusion modeling in emission markets
by K. Borovkov & G. Decrouez & J. Hinz - 1001.3644 Dual Representation of Quasiconvex Conditional Maps
by Marco Frittelli & Marco Maggis - 1001.3570 Security Pricing with Information-Sensitive Discounting
by Andrea Macrina & Priyanka A. Parbhoo - 1001.3551 A framework for adaptive Monte-Carlo procedures
by Bernard Lapeyre & J'er^ome Lelong - 1001.3492 Chaos Models in Economics
by Sorin Vlad & Paul Pascu & Nicolae Morariu - 1001.3455 Stochastic Switching Games and Duopolistic Competition in Emissions Markets
by Michael Ludkovski - 1001.3308 A comprehensive method for exotic option pricing
by Rossella Agliardi - 1001.3289 Optimal stopping of expected profit and cost yields in an investment under uncertainty
by Boualem Djehiche & Said Hamad`ene & Marie Am'elie Morlais - 1001.3223 Option Pricing in Multivariate Stochastic Volatility Models of OU Type
by Johannes Muhle-Karbe & Oliver Pfaffel & Robert Stelzer - 1001.3213 Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture
by Jean-Philippe Chancelier & J'er^ome Lelong & Bernard Lapeyre - 1001.3176 Analyzing the prices of the most expensive sheet iron all over the world: Modeling, prediction and regime change
by Fu-Tie Song & Wei-Xing Zhou - 1001.3054 Reflected Backward Stochastic Difference Equations with Finite State and their applications
by Lifen An & Shaolin Ji - 1001.3006 Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
by Markus Reiss - 1001.3003 On refined volatility smile expansion in the Heston model
by P. Friz & S. Gerhold & A. Gulisashvili & S. Sturm - 1001.2831 Quantum Model of Bertrand Duopoly
by Salman Khan & M. Ramzan & M. K. Khan - 1001.2678 Arbitrage Bounds for Prices of Weighted Variance Swaps
by Mark H. A. Davis & Jan Obloj & Vimal Raval - 1001.2639 Point Processes Modeling of Time Series Exhibiting Power-Law Statistics
by B. Kaulakys & M. Alaburda & V. Gontis - 1001.2549 Segmentation algorithm for non-stationary compound Poisson processes
by Bence Toth & Fabrizio Lillo & J. Doyne Farmer - 1001.2173 Consistency properties of a simulation-based estimator for dynamic processes
by Manuel S. Santos - 1001.2131 Asymptotics of the probability minimizing a "down-side" risk
by Hiroaki Hata & Hideo Nagai & Shuenn-Jyi Sheu - 1001.1922 Etude du risque syst\'ematique de mortalit\'e
by Fr'ed'eric Planchet & Laurent Faucillon & Marc Juillard - 1001.1921 Mesure de l'incertitude tendancielle sur la mortalit\'e ? application \`a un r\'egime de rentes
by Fr'ed'eric Planchet & Marc Juillard - 1001.1916 Utilisation des m\'ethodes de Lee-Carter et Log-Poisson pour l'ajustement de tables de mortalit\'e dans le cas de petits \'echantillons
by Fr'ed'eric Planchet & Vincent Lelieur - 1001.1914 Rentes en cours de service : un nouveau crit\`ere d'allocation d'actif
by Fr'ed'eric Planchet & Pierre-Emanuel Th'erond - 1001.1909 Simulation de trajectoires de processus continus
by Fr'ed'eric Planchet & Pierre-Emanuel Th'erond - 1001.1908 Mesure des risques de march\'e et de souscription vie en situation d'information incompl\`ete pour un portefeuille de pr\'evoyance
by Jean-Paul F'elix & Fr'ed'eric Planchet - 1001.1907 L'utilisation des splines bidimensionnels pour l'estimation de lois de maintien en arr\^et de travail
by Fr'ed'eric Planchet & Pascal Winter - 1001.1867 Allocation d'actifs selon le crit\`ere de maximisation des fonds propres \'economiques en assurance non-vie
by Fr'ed'eric Planchet & Pierre-Emanuel Th'erond - 1001.1847 An Economic analogy to Electrodynamics
by Sanjay Dasari & Anindya Kumar Biswas - 1001.1616 A Subjective and Probabilistic Approach to Derivatives
by Ulrich Kirchner - 1001.1450 Diverse Beliefs
by Angus A Brown & L C G Rogers - 1001.1446 Using Financial Ratios to Identify Romanian Distressed Companies
by Madalina Ecaterina Andreica & Mugurel Ionut Andreica & Marin Andreica - 1001.1380 Forward equations for option prices in semimartingale models
by Rama Cont & Amel Bentata - 1001.1379 Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model
by Mark Davis & Sebastien Lleo - 1001.1184 Stochastic discount factors
by Constantinos Kardaras - 1001.0880 Does Security Transaction Volume-Price Behavior Resemble a Probability Wave?
by Leilei Shi - 1001.0786 The Underlying Dynamics of Credit Correlations
by Arthur M. Berd & Robert F. Engle & Artem Voronov - 1001.0783 Recovery Swaps
by Arthur M. Berd - 1001.0656 A Security Price Volatile Trading Conditioning Model
by Leilei Shi & Yiwen Wang & Ding Chen & Liyan Han & Yan Piao & Chengling Gou - 1001.0615 Adaptive Wave Models for Option Pricing Evolution: Nonlinear and Quantum Schr\"odinger Approaches
by Vladimir G. Ivancevic - 1001.0497 Multiscaled Cross-Correlation Dynamics in Financial Time-Series
by Thomas Conlon & Heather J. Ruskin & Martin Crane - 1001.0265 Diagnosis and Prediction of Tipping Points in Financial Markets: Crashes and Rebounds
by Wanfeng Yan & Ryan Woodard & Didier Sornette
2009
- 1001.0024 Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
by Tetsuya Takaishi - 0912.5448 Universal Behavior of Extreme Price Movements in Stock Markets
by Miguel A. Fuentes & Austin Gerig & Javier Vicente - 0912.5427 Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti - 0912.5420 Consumer Expenditure Distribution in India, 1983-2007: Evidence of a Long Pareto Tail
by Abhik Ghosh & Kausik Gangopadhyay & B. Basu - 0912.5013 Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks
by Victor Chernozhukov & Ivan Fernandez-Val - 0912.4973 Probabilities of Positive Returns and Values of Call Options
by Guanghui Huang & Jianping Wan - 0912.4898 Universal patterns of inequality
by Anand Banerjee & Victor M. Yakovenko - 0912.4782 Finite-size effect and the components of multifractality in financial volatility
by Wei-Xing Zhou - 0912.4723 Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior
by David Morton de Lachapelle & Damien Challet - 0912.4623 A Guide to Modeling Credit Term Structures
by Arthur M. Berd - 0912.4621 Dynamic Estimation of Credit Rating Transition Probabilities
by Arthur M. Berd - 0912.4618 Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis
by Arthur M. Berd & Roy Mashal & Peili Wang - 0912.4614 Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures
by Arthur M. Berd & Roy Mashal & Peili Wang - 0912.4609 Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures
by Arthur M. Berd & Roy Mashal & Peili Wang - 0912.4533 Truncated Variation, Upward Truncated Variation and Downward Truncated Variation of Brownian Motion with Drift - their Characteristics and Applications
by Rafa{l} {L}ochowski